Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0061
Annualized Std Dev 0.2386
Annualized Sharpe (Rf=0%) 0.0257

Row

Daily Return Statistics

Close
Observations 4296.0000
NAs 1.0000
Minimum -0.2415
Quartile 1 -0.0047
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0058
Maximum 0.1543
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0150
Skewness -1.1305
Kurtosis 38.5662

Downside Risk

Close
Semi Deviation 0.0112
Gain Deviation 0.0112
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0154
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.7551
Historical VaR (95%) -0.0178
Historical ES (95%) -0.0367
Modified VaR (95%) -0.0174
Modified ES (95%) -0.0174
From Trough To Depth Length To Trough Recovery
2007-05-10 2009-03-09 2013-05-08 -0.7551 1510 461 1049
2019-10-01 2020-03-23 NA -0.5759 371 120 NA
2017-06-02 2018-12-24 2019-09-04 -0.2583 568 394 174
2004-03-11 2004-05-10 2006-12-06 -0.2124 692 42 650
2013-05-22 2013-10-08 2014-10-27 -0.1989 362 97 265

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 0 0.2 0.6 0 3.2 1.1 1.5 0.6 1.1 1.1 0.6 10.3
2005 1.1 0.8 1.1 1 0.6 0.9 -0.1 0.8 0.5 -0.6 0.5 -0.4 6.2
2006 -0.2 0.3 -0.1 0 1 -0.1 0.2 0.2 -0.2 0.5 0.3 0 2
2007 0 -0.3 0.3 -0.2 0.1 0.1 0.1 1.2 1.3 -1.7 1 0.7 2.7
2008 1.4 -2.7 3.1 2 -0.4 0.3 3.3 -0.2 5.4 5.2 -3 3.2 18.6
2009 -0.8 -3.9 4.9 1.7 2.8 1.8 2.8 -1.3 -2.2 -4.6 1.1 0.1 1.9
2010 1.8 -0.1 1 -1.5 -0.3 0.2 0.6 2 1.5 0.9 1.5 0.3 8
2011 0.8 -0.4 0.9 0.3 -1 0.9 0.9 1.3 -1 -2.5 2.9 -0.2 2.9
2012 1.4 0.4 0 1.6 -0.8 1.1 -0.1 0.1 -0.2 1 0.7 1.4 6.8
2013 0.5 0.4 0.4 0.8 -2.9 0.9 0.6 0.1 0.4 0.5 -0.2 0.2 1.7
2014 0.8 0.5 0.1 0 0.2 0 -0.7 0.3 -0.3 0.7 -0.7 0.2 1.1
2015 -1.6 0.7 -0.5 -0.1 -0.5 0.2 1 -1.2 -0.7 0.5 0.4 -1.5 -3.2
2016 0.8 2.4 0.3 1 2.8 0.9 -1.7 1 0.7 -0.8 -1.3 1.2 7.3
2017 -0.6 0 0 -1.3 0.5 0.5 -0.2 1.2 0.4 1 1 0.4 2.8
2018 -0.9 -0.1 0.5 0.2 0.3 0.8 -0.1 -0.4 -0.3 0.6 0.5 1.5 2.6
2019 1 0.5 0.6 0.2 -2.2 0.2 1.2 0.7 -0.5 -0.1 0 1 2.5
2020 -0.1 -4.9 -8 -4.9 0.8 0.8 0.3 -0.1 1 -0.6 1 0.2 -14.1
2021 0.4 1.2 -0.2 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart